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Saffron Fixed Income Vaults enable zero-coupon swaps on Uniswap V3 liquidity positions. The fixed side provides liquidity and sells their future trading fees for a guaranteed upfront payment. The variable side pays this premium, speculating that the yield earned will exceed their cost.

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Participants

  • Fixed side — Provides token0 and token1 to mint a Uniswap V3 position. Receives a guaranteed premium upfront instead of uncertain trading fees. Limited to one depositor per vault
  • Variable side — Pays the premium in exchange for all trading fees generated during the vault’s duration. Multiple depositors can participate, sharing yield proportionally

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Vault Mechanics

A typical vault lifecycle consists of:
  1. A vault is created with configured duration, capacities, and pool parameters
  2. The fixed side deposits token0 and token1, minting a Uniswap V3 position
  3. The variable side deposits the premium amount
  4. Once both sides reach capacity, the vault starts automatically
  5. The fixed side calls claim() to receive their premium
  6. The Uniswap position earns trading fees for the configured duration
  7. After maturity, the fixed side withdraws their original liquidity (token0/token1)
  8. The variable side withdraws all accumulated trading fees

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Hypothetical Example

Fixed side:
  • $1,000,000 WETH/USDC LP position
  • 1 year lock duration
  • 20% fixed APR ($200,000 paid upfront)
Variable side:
  • $200,000 premium payment
  • Exclusive rights to all trading fees from the $1,000,000 position
Outcome:
  • Assume 40% APY on the WETH/USDC position
  • Variable side earns 400,000 USDC in trading fees
  • Net profit: 200,000 USDC (100% return on premium)

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Vault Parameters

Vaults are configured with the following parameters:
  • Duration — lock period for the vault
  • Fixed Capacity — target liquidity amount for the Uniswap V3 position
  • Variable Capacity — total premium required from variable side depositors
  • Variable Asset — token used for premium payments
  • Fee — protocol fee (set at factory level, locked at initialization)
  • Pool — the Uniswap V3 pool for liquidity provision
  • Tick Range — price bounds for the LP position
The combination of duration and capacities determines the fixed APR. Any standard ERC20 token can be used as the variable asset. Non-standard tokens (fee-on-transfer, rebasing, etc.) are not supported.